- Tytuł:
- Forecasting the critical points of stock markets’ indices using log-periodic power law
- Autorzy:
-
Korzeniowski, Piotr
Kuropka, Ireneusz - Powiązania:
- https://bibliotekanauki.pl/articles/425256.pdf
- Data publikacji:
- 2013
- Wydawca:
- Wydawnictwo Uniwersytetu Ekonomicznego we Wrocławiu
- Tematy:
-
Log-Periodic Power Law
critical point of stock market index
forecast - Opis:
- This article presents Log-Periodic Power Law and considers its usefulness as a forecasting tool on the financial markets. One of the estimation methods of this function was presented and six models were built, based on time series of the DJIA and the WIG20. Estimated models were utilized to predict crashes of those indices. The variations between the actual values of analyzed indices observed in the forecasted period and values observed in the actual period of their downturn were assembled to assess the results. In three cases, relative errors were below 5%; and in three cases, they were higher than 15%.
- Źródło:
-
Econometrics. Ekonometria. Advances in Applied Data Analytics; 2013, 1(39); 100-110
1507-3866 - Pojawia się w:
- Econometrics. Ekonometria. Advances in Applied Data Analytics
- Dostawca treści:
- Biblioteka Nauki
Artykuł